User: Guest  Login
Document type:
Zeitungsartikel 
Author(s):
Das, B., Fasen-Hartmann, V., and Klüppelberg, C. 
Title:
Tail probabilities of random linear functions of regularly varying random vectors 
Abstract:
We provide a new extension of Breiman's Theorem on computing tail probabilities of a product of random variables to a multivariate setting. In particular, we give a complete characterization of regular variation on cones in [0,∞)d under random linear transformations. This allows us to compute probabilities of a variety of tail events, which classical multivariate regularly varying models would report to be asymptotically negligible. We illustrate our findings with applications to risk assessment...    »
 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Preprint 
Year:
2019 
Year / month:
2019-04 
Quarter:
2. Quartal 
Month:
Apr 
Language:
en 
WWW:
_blank 
Status:
Preprint / submitted 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text